Estimating Spillover Risk Among Large EU Banks

Li Ong and Martin Cihak ()

No 2007/267, IMF Working Papers from International Monetary Fund

Abstract: The paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within domestic banking systems generally remain more likely, but the number of significant cross-border links is already larger than the number of significant links among domestic banks, adding a piece of empirical evidence supporting the need for strong cross-border supervisory cooperation within the EU.

Keywords: WP; EU bank; bank; coupon yield (search for similar items in EconPapers)
Pages: 26
Date: 2007-11-01
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